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Izzi, Luisa

Basel III Credit Rating Systems

Izzi, Luisa - Basel III Credit Rating Systems, ebook

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ISBN: 9780230361188
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Table of contents

Chapter 1. Introduction: The Efficient Market Hypothesis and Basel III New Banking Regulations

1. Introduction: The Efficient Market Hypothesis and Basel III New Banking Regulations
Luisa Izzi, Gianluca Oricchio, Laura Vitale

Part I. The Quantitative Approach to Credit Rating Models

2. Corporate SME and Retail PD models
Luisa Izzi, Gianluca Oricchio, Laura Vitale

3. Sovereign and Banks’ Rating Models
Luisa Izzi, Gianluca Oricchio, Laura Vitale

4. Exposure at Default Valuation
Luisa Izzi, Gianluca Oricchio, Laura Vitale

5. Loss Given Default Estimation
Luisa Izzi, Gianluca Oricchio, Laura Vitale

6. Validation of Internal Credit Models
Luisa Izzi, Gianluca Oricchio, Laura Vitale

Part II. The Qualitative Approach to Credit Rating Models

7. The Internal Rating Agency: Organization and Scope
Luisa Izzi, Gianluca Oricchio, Laura Vitale

8. Expert Judgment-based Rating Assignment Process
Luisa Izzi, Gianluca Oricchio, Laura Vitale

9. Slotting Criteria Credit Rating Models
Luisa Izzi, Gianluca Oricchio, Laura Vitale

10. Global Recovery Rate
Luisa Izzi, Gianluca Oricchio, Laura Vitale

Part III. Rating Assignment on Specialized Lending

11. Rating Assignment on Project Finance
Luisa Izzi, Gianluca Oricchio, Laura Vitale

12. Rating Assignment on Object Finance
Luisa Izzi, Gianluca Oricchio, Laura Vitale

13. Rating Assignment on Telecom Operators
Luisa Izzi, Gianluca Oricchio, Laura Vitale

Part IV. Risk-Adjusted Credit Pricing Models

14. Pricing in Liquid Markets
Luisa Izzi, Gianluca Oricchio, Laura Vitale

15. CDS-implied EDF Credit Measures and Fair-value Spreads
Luisa Izzi, Gianluca Oricchio, Laura Vitale

16. Pricing in Nonliquid Markets
Luisa Izzi, Gianluca Oricchio, Laura Vitale

Keywords: Economics, Asian Economics, Corporate Finance, Risk Management, Insurance, Business Finance, Banking

Author(s)
 
 
Publisher
Springer
Publication year
2012
Language
en
Edition
1
Series
Palgrave Macmillan Finance and Capital Markets Series
Page amount
364 pages
Category
Economy
Format
Ebook
eISBN (PDF)
9780230361188
Printed ISBN
978-1-349-33326-4

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